obAnalytics (version 0.1.1)

orderBook: Instantaneous limit order book reconstruction.

Description

Given a set of events, reconstructs a limit order book for a specific point in time.

Usage

orderBook(events, tp = as.POSIXlt(Sys.time(), tz = "UTC"), max.levels = NULL, bps.range = 0, min.bid = 0, max.ask = Inf)

Arguments

events

Limit order events data.frame.

tp

Time point to re-construct order book at.

max.levels

Max number of price levels to return.

bps.range

Max depth to return +- BPS from best bid/ask.

min.bid

Min bid to return.

max.ask

Max ask to return.

Value

Limit Order Book structure. A list containing 3 fields:

The bids and asks data consists of the following:

Both the bids and asks data are ordered by descending price.

Details

An order book consists of 2 sides: bids and asks, an example of which is shown below:

id	price	volume	liquidity	bps	65613703
236.58	910229141	6341547077	2.11	65613655	236.56
1320000000	5431317936	1.26	65613700	236.55	1320000000
4111317936	0.84	65613698	236.54	1600000000	2791317936
0.42	65613712	236.53	1191317936	1191317936	0.00
-	-	-	-	-	65613225
236.36	16154172	16154172	0.00	65613681	236.31
200000000	216154172	2.11	65613220	236.30	100000000
316154172	2.53	65612978	236.28	100000000	416154172
3.38	id	price	volume	liquidity	bps

Examples

tp <- as.POSIXct("2015-05-01 04:25:15.342", tz="UTC")
orderBook(lob.data$events, max.levels=5)